Package org.drip.simm.margin

Class BucketAggregate

java.lang.Object

org.drip.simm.margin.BucketAggregate

public class BucketAggregate
extends java.lang.Object

BucketAggregate holds the Single Bucket Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity Margin, as well as the Aggregate Risk Factor Maps. The References are:

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
• Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
• Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
• Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
• International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf

• Module = Portfolio Core Module
• Library = Initial and Variation Margin Analytics
• Project = Initial Margin Analytics based on ISDA SIMM and its Variants
• Package = ISDA SIMM Risk Factor Margin Metrics

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BucketAggregate(java.util.Map<java.lang.String,RiskFactorAggregate> riskFactorAggregateMap, double sensitivityMarginVariance, double cumulativeSensitivityMargin)	BucketAggregate Constructor

Method Summary

Modifier and Type	Method	Description
double	cumulativeSensitivityMargin()	Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
double	positionPrincipalComponentCovarianceFRTB()	Compute the FRTB SBA-C Position Principal Component Co-variance
double	positionPrincipalComponentCovarianceISDA()	Compute the ISDA SIMM Position Principal Component Co-variance
java.util.Map<java.lang.String,RiskFactorAggregate>	riskFactorAggregateMap()	Retrieve the Risk Factor Aggregate Map
double	sensitivityMarginVariance()	Retrieve the Bucket's Sensitivity Margin Variance

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BucketAggregate

public BucketAggregate(java.util.Map<java.lang.String,RiskFactorAggregate> riskFactorAggregateMap,
double sensitivityMarginVariance,
double cumulativeSensitivityMargin)
                throws java.lang.Exception

BucketAggregate Constructor

Parameters:

riskFactorAggregateMap - The Risk Factor Aggregate Map

sensitivityMarginVariance - The Bucket's Sensitivity Margin Variance

cumulativeSensitivityMargin - The Cumulative Risk Factor Sensitivity Margin

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

riskFactorAggregateMap

public java.util.Map<java.lang.String,RiskFactorAggregate> riskFactorAggregateMap()

Retrieve the Risk Factor Aggregate Map

Returns:

The Risk Factor Aggregate Map

sensitivityMarginVariance

public double sensitivityMarginVariance()

Retrieve the Bucket's Sensitivity Margin Variance

Returns:

The Bucket's Sensitivity Margin Variance

cumulativeSensitivityMargin

public double cumulativeSensitivityMargin()

Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin

Returns:

The Bucket's Cumulative Risk Factor Sensitivity Margin

positionPrincipalComponentCovarianceISDA

public double positionPrincipalComponentCovarianceISDA()

Compute the ISDA SIMM Position Principal Component Co-variance

Returns:

The ISDA SIMM Position Principal Component Co-variance

positionPrincipalComponentCovarianceFRTB

public double positionPrincipalComponentCovarianceFRTB()

Compute the FRTB SBA-C Position Principal Component Co-variance

Returns:

The FRTB SBA-C Position Principal Component Co-variance